See demo and how to include it into your theme:

This is a pure CSS theme for prettyPhoto lightbox.
You need only 1 HTTP requests to load the theme CSS file (like I said, this is a pure CSS theme and no images are used). The default theme uses 22 requests to 7 image files of about 20KB (all).

You can bundle this theme into the main file and remove themes that you do not use for faster loading speed.